Package net.finmath.singleswaprate.model

package net.finmath.singleswaprate.model

Classes extending the regular analytic model, see net.finmath.marketdata.model, with the capacity to hold volatility cubes, see VolatilityCube.

Author:

Christian Fries, Roland Bachl

Related Packages

Package	Description
net.finmath.singleswaprate	Contains all classes related to interest rate derivatives, which are evaluated by a change of measure to the annuity measure of a single swap rate.
net.finmath.singleswaprate.model.curves	Additional curves for use in an analytic model, AnalyticModel.
net.finmath.singleswaprate.model.volatilities	Provides interface specification and implementation of volatility cubes, as well as a factory to create these, either via calibration from market data or construction from parameters.
net.finmath.singleswaprate.annuitymapping	Classes providing options for the annuity mapping function.
net.finmath.singleswaprate.calibration	Classes providing calibration to market data of volatility cubes.
net.finmath.singleswaprate.data	Provides classes to store and interact with market data.
net.finmath.singleswaprate.products	Provides interface specification and implementation of product based on a single interest rate curve.

Class	Description
AnalyticModelWithVolatilityCubes	Implementation of VolatilityCubeModel based on AnalyticModelFromCurvesAndVols.
VolatilityCubeModel	A collection of objects representing analytic valuations.